Tagged Questions

A financial institution currently has a portfolio with delta of 450 and gamma of
6,000. A traded option is available with a delta of 0.6 and a gamma of 1.5. How
could the portfolio be made both delta ...

This is my first question in this forum. I am stuck with my current testing the Ho Lee model. I am having difficulty computing the perturbation factor $\Delta$.
The ho lee model should be completely ...

I am currently trying to understand the in's and out's of options and more specifically hedging. I came across a document that was talking about Delta Hedging which is just making sure the delta of ...

I'm reading Natenberg's book, and he says that all options trades should be delta neutral.
I understand that this prevents small changes in the underlying price from changing the price of the option, ...